Maximum-likelihood estimators and random walks in long memory models

DOI10.1080/02331881003768750zbMath1229.62112arXiv0711.0513OpenAlexW2105838300MaRDI QIDQ3106392

Ciprian A. Tudor, Karine Bertin, Soledad Torres

Publication date: 21 December 2011

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0711.0513

zbMATH Keywords

fractional Brownian motionRosenblatt processmaximum-likelihood estimation

Mathematics Subject Classification ID

Related Items (12)

Bayesian inference for fractional oscillating Brownian motion ⋮ Parameter estimation for fractional diffusion process with discrete observations ⋮ Trajectory fitting estimation for stochastic differential equations driven by fractional Brownian motion ⋮ Parameter estimation for a discrete time model driven by fractional Poisson process ⋮ Limit distribution of the least square estimator with observations sampled at random times driven by standard Brownian motion ⋮ Drift parameter estimation in fractional diffusions driven by perturbed random walks ⋮ Maximum likelihood estimators of a long-memory process from discrete observations ⋮ Maximum likelihood estimator for the sub-fractional Brownian motion approximated by a random walk ⋮ Maximum likelihood estimation for Gaussian process with nonlinear drift ⋮ Parameter identification for the discretely observed geometric fractional Brownian motion ⋮ Parameter Identification for Drift Fractional Brownian Motions with Application to the Chinese Stock Markets ⋮ Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets

Uses Software

• longmemo

Cites Work

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• Parameter estimation for stochastic equations with additive fractional Brownian sheet
• A representation for self-similar processes
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Statistical aspects of the fractional stochastic calculus
• The Malliavin Calculus and Related Topics
• Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Non-central limit theorems for non-linear functional of Gaussian fields
• Analysis of the Rosenblatt process
• Fractional Brownian motion, random walks and binary market models

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